Over the weekend we released version 0.1.8 of the ChainLadder package for claims reserving on CRAN.
What is claim reserving?
The insurance industry, unlike other industries, does not sell products as such but promises. An insurance policy is a promise by the insurer to the policyholder to pay for future claims for an upfront received premium.
As a result insurers don’t know the upfront cost for their service, but rely on historical data analysis and judgement to predict a sustainable price for their offering. In General Insurance (or Non-Life Insurance, e.g. motor, property and casualty insurance) most policies run for a period of 12 months. However, the claims payment process can take years or even decades. Therefore often not even the delivery date of their product is known to insurers. The money set aside for those future claims payments are called reserves.
In practice the Mack chain-ladder and bootstrap chain-ladder models are used by many actuaries along with stress testing / scenario analysis and expert judgement to estimate ranges of reasonable outcomes, see the surveys of UK actuaries in 2002 , and across the Lloyd’s market in 2012 .
The ChainLadder package provides various statistical methods and models which are typically used for the estimation of outstanding claims reserves in general insurance. You can get a very brief overview on the package and reserving from my R in Finance lightning talk:
Version 0.1.8 fixes:
BootChainLadderproduced warnings for triangles that had static developments when the argument
process.distrwas set to
as.triangle.data.framedidn’t work for a data.frame with less than three rows
ylabwere not passed through in
 Markus Gesmann, Daniel Murphy, Wayne Zhang (2014). ChainLadder: Statistical methods for the calculation of outstanding claims reserves in general insurance. R package version 0.1.8. 2014.
 Stavros Christofides. Regression models based on log-incremental payments. Claims Reserving Manual. Volume 2 D5. September 1997